Delek US Backtesting

DK -- USA Stock  

USD 32.27  1.20  0.04%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Delek US Holdings and determine expected loss or profit from investing in Delek US over given investment horizon. Additionally see Delek US Hype Analysis, Delek US Correlation, Delek US Valuation, Delek US Volatility as well as analyze Delek US Alpha and Beta and Delek US Performance.
Horizon     30 Days    Login   to change
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Delek US 'What if' Analysis

November 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
January 19, 2019
0.00
If you would invest  0.00  in Delek US on November 20, 2018 and sell it all today you would earn a total of 0.00 from holding Delek US Holdings or generate 0.0% return on investment in Delek US over 60 days. Delek US is related to or competes with CVR Energy, Ferrellgas Partners, HollyFrontier, World Fuel, Marathon Petroleum, and NGL Energy. Delek US Holdings, Inc. engages in the integrated downstream energy business in the United States

Delek US Upside/Downside Indicators

Information Ratio(0.040657)
Maximum Drawdown14.36
Value At Risk(5.86)
Potential Upside4.82
  

Delek US Market Premium Indicators

Risk Adjusted Performance(0.10)
Jensen Alpha(0.17)
Total Risk Alpha(0.09)
Treynor Ratio(0.50)

Delek US Holdings Backtested Returns

Macroaxis considers Delek US to be not very risky. Delek US Holdings secures Sharpe Ratio (or Efficiency) of -0.0752 which denotes the organization had -0.0752% of return per unit of risk over the last 2 months. Macroaxis philosophy towards predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Delek US Holdings exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Delek US Holdings Coefficient Of Variation of (1,808) and Mean Deviation of 2.38 to check risk estimate we provide. The firm shows Beta (market volatility) of 0.3794 which denotes to the fact that as returns on market increase, Delek US returns are expected to increase less than the market. However during bear market, the loss on holding Delek US will be expected to be smaller as well. Even though it is essential to pay attention to Delek US Holdings historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Delek US Holdings exposes twenty-one different technical indicators which can help you to evaluate its performance. Delek US Holdings has expected return of -0.2443%. Please be advised to confirm Delek US Holdings Treynor Ratio, and the relationship between Variance and Potential Upside to decide if Delek US Holdings past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.20 
correlation synergy

Weak predictability

Delek US Holdings has weak predictability. Overlapping area represents the amount of predictability between Delek US time series from November 20, 2018 to December 20, 2018 and December 20, 2018 to January 19, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Delek US Holdings price movement. The serial correlation of 0.2 indicates that over 20.0% of current Delek US price fluctuation can be explain by its past prices.
Correlation Coefficient0.2
Spearman Rank Test-0.09
Residual Average0.0
Price Variance0.91

Delek US Holdings lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Delek US regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Delek US Lagged Returns

 Regressed Prices 
      Timeline 

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Chance of Distress

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Delek US Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Delek US and CVR Energy. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Additionally see Delek US Hype Analysis, Delek US Correlation, Delek US Valuation, Delek US Volatility as well as analyze Delek US Alpha and Beta and Delek US Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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